请问该题是讲义哪个知识点呀？
问题如下图：
选项：
A. 
B. 
C. 
发亮_品职助教 · 2019年02月26日
对应的知识点在这里，讲义合集294页：
这道题是这样子：公司债的YTM是7%，Libor是2.5%，所以债券反映的Credit spread=7%-2.5%=4.5%
而CDS对Credit spread的定价是4.25%；
所以债券对Credit spread的定价，和CDS对Credit spread的定价不一致，就存在套利空间，Basis trade；
买CDS仅仅花4.25%就可以将Credit risk转移，同时以7%的YTM购买债券，获得Credit risk，获得4.5%的Credit spread补偿。这样净头寸没有承担Credit risk，而获取了差价：4.5%-4.25%=0.25%。
或者理解成，反正CDS和债券的Credit spread，会收敛，收敛的过程中CDS和债券的总头寸赚取0.25%的差距。
NO.PZ201701230200000606 1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).老师请问计算profit这里为什么不用乘ration
老师, cret spre的benchmark不用risk free 的treasury bon， 是因为LIBOR包括了经济宏观风险，而C保险买的只是保公司自己的信用风险，大环境下的风险不给保是么？
1.75%. 2.75%. A is correct. A fferenin cret sprea in the bonmarket anC market is the fountion of the basis tra strategy. If the spreis higher in the bonmarket ththe C market, it is saito a negative basis. In this case, the boncret spreis currently 4.50% (bonyielminus Libor) anthe comparable C contraha cret spreof 4.25%. The cret risk is chein the C market relative to the bonmarket. Sinthe protection anthe bonwere both purchase if convergenoccurs, the tra will capture the 0.25% fferentiin the two markets (4.50% - 4.25%). B is incorrebecause the bonmarket implies a 4.50% cret risk premium (bonyielminus Libor) anthe C market implies a 4.25% cret risk premium. Convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 1.75% is riveincorrectly subtracting Libor from the cret spreon the C (= 4.25% - 2.50%). C is incorrebecause convergenof the bonmarket cret risk premium anthe C cret risk premium woulresult in capturing the fferential,0.25%. The 2.75% is riveincorrectly subtracting the cret spreon the C from the current bonyiel(= 7.00% - 4.25%).用债券市场sprea去C市场sprea以理解，按照公式profit for protection buyer应该再乘以ration啊！为什么这里不乘？
这里为什么用ytm减去libor就等于cret sprea
答案逻辑有点没看懂，我是用7-4.25-2.5算出来的，但是答案跟我不一样？请帮我捋一下，谢谢❤️